Do macroeconomics news releases affect gold and silver prices?

Christie–David, Rohan; Chaudhry, Mukesh; Koch, Timothy W.

doi:10.1016/s0148-6195(00)00029-1

Cited by 160 publications

(76 citation statements)

References 13 publications

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“…A number of studies have questioned the responses of precious metal prices to changes in international institutional and macroeconomic factors (e.g., Kaufman and Winters, 1989;Christie-David et al, 2000;Heemskerk, 2001;Ciner, 2001;Batten et al, 2010). Sjaastad and Scacciavillani (1996) find, for example, that fluctuations of floating exchange rates of major currencies, following the breakdown of the Bretton Woods currency arrangements, have led to price instability in the world gold market over the period from January 1982 to December 1990.…”

Section: Introductionmentioning

confidence: 99%

World gold prices and stock returns in China: Insights for hedging and diversification strategies

2015

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In this paper we make use of several multivariate GARCH models (CCC-, DCC-, BEKK-, diagonal BEKK-, and VAR-GARCH) to investigate both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011. We also analyze the optimal weights and hedge ratios for gold-stock portfolio holdings and show how empirical results can be used to build effective diversification and hedging strategy. Our results show evidence of significant return and volatility cross effects between gold prices and stock prices in China. In particular, past gold returns play a crucial role in explaining the dynamics of conditional return and volatility of Chinese stock market and should thus be accounted for when forecasting future stock returns. Our portfolio analysis suggests that adding gold to a portfolio of Chinese stocks improves its risk-adjusted return and that gold risk exposures can be effectively hedged in portfolios of stocks over time. Finally, we show that the VAR-GARCH model performs better than the other multivariate GARCH models.

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Section: Introductionmentioning

confidence: 99%

World gold prices and stock returns in China: Insights for hedging and diversification strategies

2015

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“…2 We should stress that the price of gold is also affected by some of the driving factors of the Dollar exchange rate, such as inflation expectations (see Blose, 2010) and the release of macroeconomic news (see Christie-David, Chaudhry and Koch, 2000). gold as hedging asset or safe haven typically focuses on the pattern of correlation.…”

Section: Introductionmentioning

confidence: 99%

Gold and the U.S. dollar: tales from the turmoil

Marzo

Zagaglia

2013

Quantitative Finance

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We investigate how the relation between gold prices and the U.S. Dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the Euro and the British Pound to study the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by Spargoli e Zagaglia (2008) to gauge the causal relations between volatility changes in the two assets. We also apply the tests for change of co-dependence of Cappiello, Gerard and Manganelli (2005). We document the ability of gold to generate stable comovements with the Dollar exchange rate that have survived the recent phases of market disruption. Our findings also show that exogenous increases in market uncertainty have tended to produce reactions of gold prices that are more stable than those of the U.S. Dollar.

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“…A number of studies have examined the relationship between gold prices and gold mining company returns, including Blose and Shieh (1995), Sjaastad and Scacciavillani (1996), Tufano (1998), Christie-David et al (2000), Twite (2002), Faff andHillier (2004), andFang et al (2007). Based on regression analysis, gold mining company stocks were found to have a greater exposure to gold price returns than to stock market returns (gold betas were higher than market betas).…”

Section: Introductionmentioning

confidence: 99%

The Dynamics of Gold Prices, Gold Mining Stock Prices and Stock Market Prices Comovements

Gilmore¹,

McManus²,

Sharma³

et al. 2009

RAE

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We examine the dynamic relationships between gold prices, stock price indices of gold mining companies and broad stock market indices. Evidence of cointegration between these variables is found. A vector error-correction model reveals that both gold and large-cap stock prices adjust to disturbances to restore the long-term relationship between the variables. Short-term unidirectional causal relationships are running from large-cap stock prices to gold mining company stock prices and from gold mining company stock prices to gold prices.

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Do macroeconomics news releases affect gold and silver prices?

Cited by 160 publications

References 13 publications

World gold prices and stock returns in China: Insights for hedging and diversification strategies

World gold prices and stock returns in China: Insights for hedging and diversification strategies

Gold and the U.S. dollar: tales from the turmoil

The Dynamics of Gold Prices, Gold Mining Stock Prices and Stock Market Prices Comovements

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